Extensions of estimation methods using the EM algorithm

Extensions of estimation methods using the EM algorithm

The EM algorithm described by Dempster, Laid, and Rubin (1977) is reviewed with the purpose of clarifying several misconceptions in the statistical and econometric literature. The clarifications lead to several applications of the algorithm to models that have appeared to be less tractable. The rela...

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Veröffentlicht in:Journal of econometrics 1991-09, Vol.49 (3), p.305-341
1. Verfasser: Ruud, Paul A.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Applications
Econometrics
Economic models
Economic statistics
Economic theory
Estimating techniques
Exact sciences and technology
Mathematics
Probability and statistics
Regression analysis
Sampling theory, sample surveys
Sciences and techniques of general use
Statistics
Studies
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Zusammenfassung:The EM algorithm described by Dempster, Laid, and Rubin (1977) is reviewed with the purpose of clarifying several misconceptions in the statistical and econometric literature. The clarifications lead to several applications of the algorithm to models that have appeared to be less tractable. The relationship between the EM algorithm and the method of scoring is also explained, providing estimators of the score and the information from the EM algorithm. The EM algorithm is extended to missing-data problems and an estimation method based on simulations.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(91)90001-T